Kessler Investment Advisors, Inc. : Kessler Cornerstone Absolute Return Strategy

Year-to-Date
6.93%
Jun Performance
1.56%
Min Investment
$ 500k
Mgmt. Fee
1.00%
Perf. Fee
10.00%
Annualized Vol
8.24%
Sharpe (RFR=1%)
0.56
CAROR
5.37%
Assets
$ 5.3M
Worst DD
-13.31
S&P Correlation
-0.22

Growth of 1,000 - VAMI

Monthly Performance

Export Data
Year Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD DD

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Period Returns

Program / Index Jun Qtr YTD 1yr 3yr 5yr 10yr Since
6/2007
Kessler Cornerstone Absolute Return Strategy 1.56 5.98 6.93 2.19 -0.93 7.32 40.06 88.17
S&P 500 6.89 3.78 17.34 8.21 38.73 48.55 216.69 93.66
+/- S&P 500 -5.33 2.20 -10.41 -6.02 -39.66 -41.23 -176.62 -5.48

Strategy Description

Summary

The strategy is designed to generate returns from the enduring concept of the business cycle. Over the cycle, interest rates go up in the expansion phase as the price of money increases (concurrent with the Federal Reserve raising rates) and then rates go down in the recession and... Read More

Account & Fees

Type
Managed Account
Minimum Investment
$ 500k
Trading Level Incremental Increase
$ 100k
CTA Max Funding Factor
5.00
Management Fee
1.00%
Performance Fee
10.00%
Average Commission
$11.00
Available to US Investors
Yes

Subscriptions

High Water Mark
Yes
Subscription Frequency
Daily
Redemption Frequency
Daily
Investor Requirements
QEP
Lock-up Period
0

Trading

Trading Frequency
500 RT/YR/$M
Avg. Margin-to-Equity
5%
Targeted Worst DD
-15.00%
Worst Peak-to-Trough
13.31%
Sector Focus
Financial & Metals Traders

Holding Periods

Over 12 Months
0%
4-12 Months
0%
1-3 Months
50.00%
1-30 Days
50.00%
Intraday
0%

Decision-Making

Discretionary
15.00%
Systematic
85.00%

Strategy

Fundamental
50.00%
Momentum
10.00%
Seasonal/cyclical
10.00%
Technical
30.00%
Strategy Pie Chart

Composition

Interest Rates
100.00%
Composition Pie Chart

Summary

The strategy is designed to generate returns from the enduring concept of the business cycle. Over the cycle, interest rates go up in the expansion phase as the price of money increases (concurrent with the Federal Reserve raising rates) and then rates go down in the recession and aftermath (concurrent with the Federal Reserve lowering or holding rates); this cycle has repeated every 3-10 years historically. Treasuries make and lose return (in excess of cashflow) based on which way interest rates go. The strategy strives to capture a majority of these business-cycle-length primary trends in US sovereign interest rates by broadly having long positions when rates fall and having short positions when rates rise. Technical indicators modify this macro-economic market call in an effort to capture some shorter-term movements.

Investment Strategy

The strategy is designed to take directional positions in US sovereign interest rate, exchange-traded futures across the yield curve. It aims to profit by capturing primary and secondary trends of interest rate movements, as well as implied carry; either on the long or short side. The strategy takes positions based on the systematically-translated investment manager’s understanding of how macro and technical indicators predict movements in interest rates; both from an empirical and logical perspective. More specifically, systematic models are run independently for key positions on the yield curve each trading day taking account of several economic and market factors. The outputs of these models are percentages of exposure ranging between +100% (fully long) to -100% (fully short). Full exposure is dictated as the more conservative of two conditions; either +/-16 units of portfolio duration (similar to the interest rate sensitivity of a 30yr UST), or a 12% maximum loss over a 1 month time-frame (parametric VaR, 99%). Manager discretion is then used to choose an allocation between the yield curve points. The exposure call, maximum exposure, and yield curve allocation are combined and translated into a particular amount of contracts for each account which is sized according to the most current equity (actual or nominal). Aside from the inception of an account and the necessary rolling of contracts each quarter, trading serves only to adjust exposure from yesterday’s call to today’s.

Risk Management

Risk is limited to +/-16 units of portfolio duration, similar to a 30yr US Treasury, or about double that of a typical bond fund.

   

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Reward
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:
Reward
Compound RoR:
Average RoR:
Max Gain:
Gain Frequency:
Average Gain:
Gain Deviation:
Risk
Standard Deviation:
Worst Loss:
Loss Frequency:
Average Loss:
Loss Deviation:
Reward/Risk
Sharpe Ratio: (RF=1%)
Skewness:
Kurtosis:

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.

Note: Figures shown in the Monthly column are the greatest figures (or worst for losses/drawdowns) for any particular month. The Annual figures are the greatest for any calendar year.

Drawdown Report

Depth Length (Mos.) Recovery (Mos.) Peak Valley
-13.31 9 17 11/1/2012 8/1/2013
-11.70 5 12 1/1/2015 6/1/2015
-8.27 18 - 8/1/2017 2/1/2019
-7.74 4 4 2/1/2008 6/1/2008
-6.28 5 8 7/1/2016 12/1/2016
-5.64 2 8 9/1/2011 11/1/2011
-5.03 6 3 10/1/2010 4/1/2011
-4.02 1 2 5/1/2009 6/1/2009
-2.37 2 4 11/1/2009 1/1/2010
-1.72 1 1 11/1/2007 12/1/2007
-1.04 2 1 12/1/2008 2/1/2009
-0.98 3 1 7/1/2012 10/1/2012
-0.04 1 1 10/1/2008 11/1/2008
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Consecutive Gains

Run-up Length (Mos.) Start End
17.23 6 6/1/2007 11/1/2007
15.34 3 7/1/2011 9/1/2011
13.05 6 5/1/2010 10/1/2010
12.19 4 7/1/2008 10/1/2008
10.72 5 7/1/2009 11/1/2009
9.42 2 1/1/2016 2/1/2016
6.62 2 1/1/2008 2/1/2008
6.35 1 12/1/2008 12/1/2008
6.34 2 1/1/2014 2/1/2014
6.16 2 5/1/2019 6/1/2019
6.14 3 7/1/2015 9/1/2015
5.66 5 4/1/2017 8/1/2017
5.44 2 12/1/2014 1/1/2015
4.77 3 5/1/2016 7/1/2016
4.65 3 3/1/2009 5/1/2009
4.53 2 4/1/2014 5/1/2014
4.48 3 2/1/2013 4/1/2013
3.68 2 9/1/2013 10/1/2013
3.49 1 1/1/2018 1/1/2018
2.96 1 12/1/2011 12/1/2011
2.80 1 10/1/2014 10/1/2014
2.77 1 5/1/2012 5/1/2012
2.31 2 9/1/2018 10/1/2018
1.93 1 11/1/2012 11/1/2012
1.92 1 7/1/2012 7/1/2012
1.78 2 7/1/2014 8/1/2014
1.75 1 5/1/2018 5/1/2018
1.71 2 2/1/2012 3/1/2012
1.65 1 3/1/2019 3/1/2019
1.29 1 2/1/2010 2/1/2010
1.26 2 1/1/2017 2/1/2017
0.78 1 1/1/2011 1/1/2011
0.72 1 3/1/2018 3/1/2018
0.51 1 5/1/2011 5/1/2011
0.38 1 9/1/2016 9/1/2016
0.35 1 3/1/2011 3/1/2011
0.30 1 10/1/2017 10/1/2017
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Consecutive Losses

Run-up Length (Mos.) Start End
-12.59 4 5/1/2013 8/1/2013
-11.70 5 2/1/2015 6/1/2015
-7.74 4 3/1/2008 6/1/2008
-5.64 2 10/1/2011 11/1/2011
-5.07 2 12/1/2012 1/1/2013
-5.04 3 10/1/2016 12/1/2016
-4.82 4 11/1/2018 2/1/2019
-4.18 3 6/1/2018 8/1/2018
-4.02 1 6/1/2009 6/1/2009
-3.29 1 4/1/2011 4/1/2011
-3.12 3 10/1/2015 12/1/2015
-3.11 2 11/1/2013 12/1/2013
-2.94 1 9/1/2017 9/1/2017
-2.37 2 12/1/2009 1/1/2010
-2.29 1 9/1/2014 9/1/2014
-2.09 1 11/1/2014 11/1/2014
-1.99 1 4/1/2018 4/1/2018
-1.85 1 2/1/2018 2/1/2018
-1.72 1 12/1/2007 12/1/2007
-1.68 1 8/1/2016 8/1/2016
-1.48 2 11/1/2010 12/1/2010
-1.44 1 2/1/2011 2/1/2011
-1.24 1 6/1/2014 6/1/2014
-1.22 2 3/1/2016 4/1/2016
-1.09 1 4/1/2012 4/1/2012
-1.04 2 1/1/2009 2/1/2009
-1.03 2 3/1/2010 4/1/2010
-1.03 2 11/1/2017 12/1/2017
-0.98 3 8/1/2012 10/1/2012
-0.79 1 1/1/2012 1/1/2012
-0.73 1 3/1/2014 3/1/2014
-0.38 1 6/1/2011 6/1/2011
-0.18 1 3/1/2017 3/1/2017
-0.17 1 4/1/2019 4/1/2019
-0.15 1 6/1/2012 6/1/2012
-0.04 1 11/1/2008 11/1/2008
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Time Windows Analysis

 1 Month3 Month6 Month12 Month18 Month2 Year3 Year4 Year5 Year
Number of Periods145.00143.00140.00134.00128.00122.00110.0098.0086.00
Percent Profitable54.4861.5461.4370.1574.2272.9582.7388.7898.84
Average Period Return0.461.342.474.567.199.4513.8817.2820.10
Average Gain2.143.936.168.4611.1014.2217.6219.7420.34
Average Loss-1.54-2.78-3.41-4.59-4.04-3.41-4.05-2.22-0.51
Best Period6.5815.3419.2722.7034.4739.9853.6261.9179.87
Worst Period-6.02-11.52-10.39-12.49-10.41-9.30-9.02-4.96-0.51
Standard Deviation2.384.386.087.559.8911.9316.3919.2720.33
Gain Standard Deviation1.663.254.505.078.3410.4415.5519.0720.33
Loss Standard Deviation1.312.302.723.282.942.162.821.72
Sharpe Ratio (1%)0.160.250.320.470.580.620.660.690.74
Average Gain / Average Loss1.391.411.801.842.754.174.368.9039.93
Profit / Loss Ratio1.662.262.874.337.9111.2420.8670.373394.09
Downside Deviation (10%)1.582.874.055.666.627.9611.0613.7216.64
Downside Deviation (5%)1.402.352.953.533.183.043.212.361.43
Downside Deviation (0%)1.362.232.703.072.522.092.030.920.05
Sortino Ratio (10%)0.040.040.00-0.08-0.06-0.10-0.17-0.31-0.45
Sortino Ratio (5%)0.270.470.671.011.792.453.385.5910.52
Sortino Ratio (0%)0.340.600.911.492.854.526.8318.70365.89

Top Performer Badges

Index Award Type Rank Performance Period

Past performance is not necessarily indicative of future results. The risk of loss in trading commodity futures, options, and foreign exchange ("forex") is substantial.